Essays on asset trading

T. Dieler

Research output: ThesisDoctoral Thesis

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Abstract

The overreaching methodology of my Ph.D. thesis is to substitute noise traders with rational traders. I do so by considering liquidity asymmetry between informed trader and uninformed traders. Liquidity asymmetry creates a motive for trade. Under this new setup, I study the impact of asset trade on the real economy, represented by a firm with an investment opportunity, in chapter 1 ("Efficient Asset Trade - A Model with Asymmetric Information and Asymmetric Liquidity Needs"). I find conditions for which asset trade leads to inefficient investment. Chapter 2 ("(In)Efficient Asset Trade and a Rationale for a Tobin Tax") characterizes a tax which can restore efficient investment. In chapter 3, I show that finitely repeated trade, as in Kyle (1985) and Ostrovsky (2012), does not necessarily lead to information revelation if traders are fully rational.
Original languageEnglish
QualificationJoint degree
Awarding Institution
  • Tilburg University
  • University of Bologna
Supervisors/Advisors
  • Calzolari, G., Promotor, External person
  • Renneboog, Luc, Promotor
  • Castiglionesi, Fabio, Co-promotor
Award date1 Dec 2014
Place of PublicationTilburg
Publisher
Print ISBNs9789056684150
Publication statusPublished - 1 Dec 2014

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  • Cite this

    Dieler, T. (2014). Essays on asset trading. CentER, Center for Economic Research.